strategyatrrsi.cpp

#include "strategyatrrsi.h"
#include <QDebug>
#include "ctaengine.h"


StrategyAtrRsi::StrategyAtrRsi(CtaEngine *ce, std::string name, std::string symbol)
: StrategyBase(ce, name, symbol)
{
    // 测试功能
    //////////////////////////////////////////////////////////////////////////
    atrLength = 5;
    atrMaLength = 5;
    rsiLength = 5;
    rsiEntry = 10;
    trailingPercent = 0.8;
    bufferSize = 10;
    //////////////////////////////////////////////////////////////////////////


    // 初始化策略参数
    highArray.reserve(bufferSize);   //reserve预留空间
    lowArray.reserve(bufferSize);
    closeArray.reserve(bufferSize);
}

void StrategyAtrRsi::onInit()
{
    // 初始化RSI入场阈值
    rsiBuy = 50 + rsiEntry;
    rsiSell = 50 - rsiEntry;

    /*
    // 载入历史数据，并采用回放计算的方式初始化策略数值
    std::vector<CtaBarData> hist_bars;
    loadBar(initDays, hist_bars);
    for_each(hist_bars.begin(), hist_bars.end(), [](const CtaBarData& bar)
    {

    });
    */

    // putEvent();
}

void StrategyAtrRsi::onStart()
{
    // putEvent();
}

void StrategyAtrRsi::onStop()
{
    // putEvent();
}


void StrategyAtrRsi::onTick(QuoteInfo &quote)
{
    // 计算K线
    int tick_time = convert_time_str2int(quote.time.toStdString().c_str());//12：10：10-》121010
    int tickMinute = tick_time / 100;         //tick当前分钟
    if (tickMinute != barMinute)              //barMinute  K线当前的分钟
    {
        if (!bar.is_new)
        {
            // 跳表时推送旧bar,初始化新bar
            onBar(bar);
        }

        // 赋值构造函数重置旧bar
        bar = CtaBarData();
        bar.vtSymbol = quote.vtSymbol.toStdString();
        bar.symbol = quote.symbol.toStdString();
        //bar.exchange =

        // 初始化OHLC
        bar.open = quote.lastPrice;
        bar.high = quote.lastPrice;
        bar.low = quote.lastPrice;
        bar.close = quote.lastPrice;

        bar.time = tick_time;	// K线的时间设为第一个Tick的时间
        barMinute = tickMinute; // 更新当前的分钟
    }
    else
    {
        double last_price = quote.lastPrice;
        bar.high = (bar.high > last_price) ? bar.high : last_price;
        bar.low = (bar.low < last_price) ? bar.low : last_price;
        bar.close = last_price;
        bar.is_new = false;
    }
}

void StrategyAtrRsi::onBar(CtaBarData &bar)
{
    // 撤销之前发出的尚未成交的委托（包括限价单和停止单）：（限价单好像只在CtaEngine中维护吧？）
    // 新Bar到来时，前一个Bar发出的停止单均不作数
    for_each(orderList.begin(), orderList.end(), [this](const std::string& orderID)
    {
        cancelOrder(orderID);
    });
    orderList.clear();

    // 保存K线数据
    if (bufferCount == bufferSize)
    {
        highArray.erase(highArray.begin());   //删除一个元素
        lowArray.erase(lowArray.begin());
        closeArray.erase(closeArray.begin());
        bufferCount--;
    }

    highArray.push_back(bar.high);
    lowArray.push_back(bar.low);
    closeArray.push_back(bar.close);
    bufferCount++;

    // 继续累积原始K线
    if (bufferCount < bufferSize)
    {
        return;
    }

    // 计算指标数值

    // ATR
    int atr_size = -1;
    std::vector<double> atr_vec;
    if (!TechIndicator::ATR(highArray, lowArray, closeArray, atrLength, atr_size, atr_vec))
    {
        // 错误日志
        return;
    }
    double atrValue = atr_vec[atr_size-1];

    if (atrCount == bufferSize)
    {
        atrArray.erase(atrArray.begin());
        atrCount--;
    }

    atrArray.push_back(atrValue);
    atrCount++;

    // 继续累积atr数据
    if (atrCount < bufferSize)
    {
        return;
    }

    // MA
    int atr_ma_size = -1;
    std::vector<double> atr_ma_vec;
    if (!TechIndicator::MA(atrArray, atrMaLength, atr_ma_size, atr_ma_vec))
    {
        // 错误日志
        return;
    }
    // ATR的均线
    double atrMa = atr_ma_vec[atr_ma_size - 1];

    // RSI
    int rsi_size = -1;
    std::vector<double> rsi_vec;
    if (!TechIndicator::RSI(closeArray, rsiLength, rsi_size, rsi_vec))
    {
        // 错误日志
        return;
    }

    // 策略核心指标
    double rsiValue = rsi_vec[rsi_size-1];

    // 判断是否要进行交易
    //char sz_log[256] = { 0 };
    //sprintf_s(sz_log, "ATR: %.4f; ATR_MA: %.4f; RSI: %.4f", atrValue, atrMa, rsiValue);
    //qDebug() << sz_log;


    // 当前无仓位
    if (0 == pos)
    {
        // 持仓周期内的高低价，无仓位时初始化
        intraTradeHigh = bar.high;
        intraTradeLow = bar.low;

        // ATR数值上穿其移动平均线，说明行情短期内波动加大
        // 即处于趋势的概率较大，适合CTA开仓
        if (atrValue > atrMa)
        {
            // 使用RSI指标的趋势行情时，会在超买超卖区钝化特征，作为开仓信号
            if (rsiValue > rsiBuy)
            {
                // 这里为了保证成交，选择超价5个整指数点下单
                buy(bar.close+5, 1);

                char log_msg[512] = { 0 };
                _snprintf_s(log_msg, sizeof(log_msg), _TRUNCATE, "Open: BUY: rsiValue: %lf, atrMa: %lf, rsiValue: %lf ... close: %lf  ", atrValue, atrMa, rsiValue, bar.close+5);
                //GLOG(log_msg, CGLog::CGLog_INFO);
            }
            else if (rsiValue < rsiSell)
            {
                short_(bar.close-5, 1);

                char log_msg[512] = { 0 };
                _snprintf_s(log_msg, sizeof(log_msg), _TRUNCATE, "Open: SHORT: rsiValue: %lf, atrMa: %lf, rsiValue: %lf ... close: %lf  ", atrValue, atrMa, rsiValue, bar.close-5);
                //GLOG(log_msg, CGLog::CGLog_INFO);
            }
        }
    }
    // 持有多头（注意学习此处停止单的逻辑！其实止盈也是某种意义上的止损！！！）
    else if (pos >= 1)
    {
        // 计算多头持有期内的最高价，以及重置最低价
        intraTradeHigh = (intraTradeHigh > bar.high) ? intraTradeHigh : bar.high;
        intraTradeLow = bar.low;
        // 计算多头移动止损: 止损百分比不动，随价格变动而移动
        double longStop = intraTradeHigh * (1 - trailingPercent / 100.);

        // 发出本地止损委托，并且把委托号记录下来，用于后续撤单(不断发出止损委托)
        std::string orderID = sell(longStop, 1, true);
        orderList.push_back(orderID);	// orderList 只在OnBar中push_back和clear

        char log_msg[512] = { 0 };
        _snprintf_s(log_msg, sizeof(log_msg), _TRUNCATE, "Stop: SELL: intraTradeHigh: %lf, longStop: %lf, orderID: %s  ", intraTradeHigh, longStop, orderID.c_str());
        //GLOG(log_msg, CGLog::CGLog_INFO);
    }
    // 持有空头
    else if (pos <= -1)
    {
        intraTradeLow = (intraTradeLow < bar.low) ? intraTradeLow : bar.low;
        intraTradeHigh = bar.high;
        // 计算空头移动止损: 止损百分比不动，随价格变动而移动
        double shortStop = intraTradeLow * (1 + trailingPercent / 100.);
        // 计算多头移动止损: 止损百分比不动，随价格变动而移动
        std::string orderID = cover(shortStop, 1, true);
        orderList.push_back(orderID);  // orderList 只在OnBar中push_back和clear

        char log_msg[512] = { 0 };
        _snprintf_s(log_msg, sizeof(log_msg), _TRUNCATE, "Stop: COVER: intraTradeLow: %lf, shortStop: %lf, orderID: %s  ", intraTradeLow, shortStop, orderID.c_str());
        //GLOG(log_msg, CGLog::CGLog_INFO);
    }

    // putEvent();
}

void StrategyAtrRsi::onOrder(OrderInfo &order)
{

}

void StrategyAtrRsi::onTrade(TradeInfo &trade)
{
    char log_msg[512] = { 0 };
    _snprintf_s(log_msg, sizeof(log_msg), _TRUNCATE, "onTrade: orderID: %s, volume: %d, tradeTime: %s, stgPos: %d  ", trade.orderID.toStdString().c_str(), trade.volume, trade.tradeTime.toStdString().c_str(), pos);
    //GLOG(log_msg, CGLog::CGLog_INFO);     //打印日志
}